I've implemented the L-S algorithm for a simple put option. I want to value a more complex derivative which has future conditional coupons which only occur if the option is in the money. How would I incorporate that feature into my model?

  • $\begingroup$ How have you implemented it for a put option? if you orthogonalize the payoff and path generation code then it should become more obvious. $\endgroup$ – will May 20 at 21:32
  • $\begingroup$ @will I’ve done that exactly. So I need the discounted cash flow at the next time step if the put is not exercised at the given time step. How would I incorporate future potential coupons? $\endgroup$ – John Doe May 20 at 21:38

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.